A Tournament Model of Fund Management
构建了一个投资组合管理的锦标赛模型，并用英国投资信托数据检验。模型预测排名靠后的基金经理会采取极端投资组合，且落后越多、排名日期越近，极端化越明显。实证结果支持这些预测。
Abstract: We develop a tournament model of portfolio management and test it on UK investment trusts. Our model extends the literature by analysing middle‐ranking funds who aim to beat a benchmark; spanning two periods; focusing on ‘extreme’ portfolios; and using a signal‐extraction framework. We predict that ‘losing’ managers will adopt extreme portfolios, and increasingly so, the further behind the fund is and the nearer the ranking date. Losing managers will choose high/low market exposure depending both on anticipated market movements and on whether they have sufficient assets to take advantage of a rising market. Our empirical tests support these predictions.